I've implemented the L-S algorithm for a simple put option. I want to value a more complex derivative which has future conditional coupons which only occur if the option is in the money. How would I incorporate that feature into my model?

  • $\begingroup$ How have you implemented it for a put option? if you orthogonalize the payoff and path generation code then it should become more obvious. $\endgroup$ – will May 20 '19 at 21:32
  • $\begingroup$ @will I’ve done that exactly. So I need the discounted cash flow at the next time step if the put is not exercised at the given time step. How would I incorporate future potential coupons? $\endgroup$ – John Doe May 20 '19 at 21:38

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